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GARCH Parameter Estimation Using High-Frequency Data
16 references·4 citing·32 second hopsampled
GARCH Parameter Estimation Using High-Frequency Data (2010)GARCH Parameter Estimation Using High-Fre…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesA forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…New frontiers for arch models (2002)New frontiers for arch modelsEstimating quadratic variation using realized variance (2002)Estimating quadratic variatio…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Deep learning for volatility forecasting in asset management (2022)Deep learning for volatility …Financial Risk Measurement for Financial Risk Management (2012)Financial Risk Measurement fo…Common Intraday Periodicity (2011)Common Intraday PeriodicityRealized GARCH: A Joint Model of Returns and Realized Measures of Volatility (2010)Realized GARCH: A Joint Model…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Expected Stock Returns and Variance Risk Premia (2009)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Distribution of Realized Exchange Rate Volatility (2001)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Comparing Predictive Accuracy (1994)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 2002New frontiers for arch models739 cited
  • 1993Temporal Aggregation of Garch Processes

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678 cited
  • 2002Estimating quadratic variation using realized variance618 cited
  • Cited by

    • 2022Deep learning for volatility forecasting in asset management50 cited
    • 2010Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility45 cited
    • 2012Financial Risk Measurement for Financial Risk Management43 cited
    • 2011Common Intraday Periodicity26 cited